You are working in a US based institution with some assets and liabilities Your bank has British assets of GBP18,000,000 and British liabilities of GBP10,000,000 The expected FX rate in indirect quote will be 0 90 in the future Analysis and decision of Futures hedging strategy, including the selection of the suitable future contract, determination of position of the future contract, and the application of regression analysis of hedge ratio (based on the range of historical data that are provided), R2 , number of the futures contract for hedging,etc Extract the historical data in that you use in the hedge ratio regression analysis in proper Excel format and attached as a one page appendix Hedge ratio analysis The expected loss gain of the bank in US$ if the FX rate moves to the level as specified in each question (Loss Gain estimation under no hedging) SECURITY NAME FUT CONT SIZE FUT CONTRACT DT FUT TICK SIZE QUOTED CRNCY LAST TRADEABLE DT FUT VAL PT QUOTE UNITS contract size expiration date tick size quoted currency last tradable date value point quote units JYJ0 CURNCY JPN YEN CURR FUT Apr20 12500000 04 2020 0 005 USd 4 13 2020 1250 cents 100 YEN JYM0 CURNCY JPN YEN CURR FUT Jun20 12500000 06 2020 0 005 USd 6 15 2020 1250 cents 100 YEN Security JYM0 COMB Curncy Start Date 5 2 2019 0 00 End Date 13 2 2020 0 00 Period D Currency USd Date PX LAST PX INVERSE 13 2 2020 91 51 109 278 12 2 2020 91 45 109 349 11 2 2020 91 73 109 016 10 2 2020 91 77 108 968 6 1 2020 93 025 107 498 3 1 2020 93 405 107 061 2 1 2020 92 95 107 585 31 12 2019 92 92 107 619 30 12 2019 92 715 107 857 27 12 2019 92 24 108 413 26 12 2019 92 1 108 578 7 2 2019 94 855 105 424 6 2 2019 94 785 105 502 5 2 2019 94 785 105 502 Security JPY BGN Curncy Start Date 13 2 2018 0 00 End Date 13 2 2020 0 00 Period D Pricing Source BGN Date PX LAST 13 2 2020 109 93 12 2 2020 110 09 11 2 2020 109 79 10 2 2020 109 77 3 1 2020 108 09 2 1 2020 108 57 1 1 2020 108 76 31 12 2019 108 61 30 12 2019 108 88 27 12 2019 109 44 26 12 2019 109 63 25 12 2019 109 38 24 12 2019 109 39 14 2 2019 110 48 13 2 2019 111 01 12 2 2019 110 48 11 2 2019 110 38

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You are working in a US-based institution with some assets and liabilities. Your bank has British assets of GBP18,000,000 and British liabilities of GBP10,000,000. The

You are working in a US-based institution with some assets and liabilities.

Your bank has British assets of GBP18,000,000 and British liabilities of GBP10,000,000. The expected FX rate in indirect quote will be 0.90 in the future.

Analysis and decision of Futures hedging strategy, including the selection of the suitable future contract, determination of position of the future contract, and the application of regression analysis of hedge ratio (based on the range of historical data that are provided), R2 , number of the futures contract for hedging,etc Extract the historical data in that you use in the hedge ratio regression analysis in proper Excel format and attached as a one-page appendix
Hedge ratio analysis
The expected loss/gain of the bank in US$ if the FX rate moves to the level as specified in each question.(Loss / Gain estimation under no hedging)

	SECURITY_NAME	FUT_CONT_SIZE	FUT_CONTRACT_DT	FUT_TICK_SIZE	QUOTED_CRNCY	LAST_TRADEABLE_DT	FUT_VAL_PT	QUOTE_UNITS
		contract size	expiration date	tick size	quoted currency	last tradable date	value point	quote units
JYJ0 CURNCY	JPN YEN CURR FUT Apr20	12500000	04/2020	0.005	USd	4/13/2020	1250	cents/100 YEN
JYM0 CURNCY	JPN YEN CURR FUT Jun20	12500000	06/2020	0.005	USd	6/15/2020	1250	cents/100 YEN

Security	JYM0 COMB Curncy
Start Date	5/2/2019 0:00
End Date	13/2/2020 0:00
Period	D
Currency	USd

Date	PX_LAST	PX_INVERSE
13/2/2020	91.51	109.278
12/2/2020	91.45	109.349
11/2/2020	91.73	109.016
10/2/2020	91.77	108.968
6/1/2020	93.025	107.498
3/1/2020	93.405	107.061
2/1/2020	92.95	107.585
31/12/2019	92.92	107.619
30/12/2019	92.715	107.857
27/12/2019	92.24	108.413
26/12/2019	92.1	108.578
7/2/2019	94.855	105.424
6/2/2019	94.785	105.502
5/2/2019	94.785	105.502

Security	JPY BGN Curncy
Start Date	13/2/2018 0:00
End Date	13/2/2020 0:00
Period	D
Pricing Source	BGN

Date	PX_LAST
13/2/2020	109.93
12/2/2020	110.09
11/2/2020	109.79
10/2/2020	109.77
3/1/2020	108.09
2/1/2020	108.57
1/1/2020	108.76
31/12/2019	108.61
30/12/2019	108.88
27/12/2019	109.44
26/12/2019	109.63
25/12/2019	109.38
24/12/2019	109.39
14/2/2019	110.48
13/2/2019	111.01
12/2/2019	110.48
11/2/2019	110.38